2008年爆發的國際金融危機,使防範系統性金融風險成為監管部門面對的重大課題,更嚴格監管資本的巴塞爾協議Ⅲ應運而生,但其在中國的實施效果有待觀察。基於中國經濟金融特點構建的DSGE模型,包含實體經濟和金融體系在內的居民、銀行、企業和政府四大部門,通過使用1998—2014年中國數據估算校準參數,在全要素生產率、住房需求、貨幣供應、基準利率、消費貸款違約率、企業貸款違約率的外生衝擊下,分析銀行受到提高資本約束要求時,系統性金融風險傳遞的運行機制。結果發現,在資本約束下,緣於資本監管的順周期性,系統性金融風險經歷三個階段的傳遞後,實體經濟並未得到有效改善。而基於各類銀行資本充足平均水平,小幅度提高資本監管要求,以及更加嚴格地加強對資本不足銀行的監管,則有助於抑制金融風險傳遞。

Following the global financial crisis of 2008,the prevention of systemic financial risk became the major concern for supervisory departments.Basel III responded to the challenge,but its efficacy in China remains to be seen.The DSGE model,which is based on the characteristics of the Chinese economy and finance,comprises four major sectors:residents,banks,enterprises and government.Using the calibration parameters of Chinese data estimation from 1998-2014,under the exogenous shocks of total factor productivity,housing demand,money supply,the benchmark interest rate,the default rate on consumer loans and the default rate on enterprise loans,we analyze the operational mechanism of systemic financial risk transfer when banks are capital constrained.We find that under capital constraints,owing to the pro-cyclical nature of capital supervision,there was no effective improvement in the real economy after systemic financial risk went through three stages of risk transfer.Basing on banks'average rate of capital adequacy,increasing the regulatory capital requirements slightly and strengthening supervision of undercapitalized banks will help to control financial transfer risk.